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Document type:
Zeitschriftenaufsatz 
Author(s):
Kiesel, R.; Scherer, M. 
Non-TUM Co-author(s):
ja 
Cooperation:
national 
Title:
Credit portfolio modelling in structural models with jumps 
Abstract:
A multi-firm structural default model, based on a multivariate jump-diffusion process, is presented. This framework allows to dynamically model the loss distribution and dependence structure of a credit portfolio. Univariate marginals, as well as the dependence structure, are investigated. The latter discussion includes the log-asset correlation and default correlations in the presence of jump risk. The model allows the simultaneous pricing of bonds, CDS, and portfolio derivatives across all mat...    »
 
Intellectual Contribution:
Discipline-based Research 
Journal title:
working paper 
Year:
2011 
Pages contribution:
Reviewed:
nein 
Language:
en 
Status:
Erstveröffentlichung 
Semester:
SS 02 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Nein 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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